A stealthy dwarven character is interesting.
The first thing that I can think of is the Silent Shadows guild feat, representing the guild training you received. A warlock has some amazing affinities for stealth, with their ability to gain concealment after sufficient movement. The trick is to run with that advantage as much as you can.
Thinking about it more deeply, I realize I've already thought about this build from a different direction.
The best use of a warlock/rogue would be to take a hyrbid. Now, this is... special because striker/striker hybrids normally suck.
Okay, hybrid rogue/warlock doesn't work, as you can't have cunning sneak and shadow walk without paragon multiclassing (ick!) However, it does work if you multiclass assassin and take shadow walk through the cursed shadow feat. Entirely too much work for what you're thinking of and doesn't fit the concept.
If you take warlock as a class, you should absolutely take twilight adept as your multiclass. Cunning sneak is incredibly good for warlocks and allows you to illustrate your guild training in a much more evocative way. Making that stealth check through open ground is entirely cooler than just doing a bit of extra damage. It also illustrates how the warlock power has changed your abilities. If you want to go the extra mile, change your mechanical race to shade instead of dwarf to show how the power has eaten your soul away.
Your ultimate goal if you don't take shade is the rogue utility 10: shadow stride. It has an incredible synergy with warlock and is almost even worth giving up teleport at-will for.
Doing a 1..11 truncated build:
Dwarf Vestige-pact Warlock (con/dex based)
Theme: If your GM allows it (Dead rat deserter can shapeshift into a tiny rat)
Background: Young Cutthroat (+1 to intimidate and thievery and training in both) or Dead Rat Deserter
Feat: Twilight Adept
Encounter: Chains of Levistus
2: Utility: Shadow Veil
Feat: (one of the warlock wepliment expertises that can cover a dagger that still isn't in the compendium) or moonbow dedicate, a shortbow feels far more thiefy.
4: Feat: Dual implement spellcaster
6: dead rat stealth
feat: silent shadows (if someone else in your party has it) or
8: Acolyte Power
Dwarf Star pact Warlock intimdatomancer
Trigger: You bloody an enemy adjacent to you or reduce an enemy adjacent to you to 0 hit points or fewer.
Effect: Enemies that can see you take a -2 penalty to attack rolls against you until you are hit by an attack or until the end of the encounter. Also, if you bloodied the triggering enemy, you can immediately make an Intimidate check against it to force it to surrender.
Background: Young Cutthroat or Back Alley Bravo
This would focus on intimidation. While this is a non-normal "typical" thief, it certainly fits the idea of a bruiser and extortionist from a thieves guild. Warlocks can get some pretty impressive intimidate scores and this is a good tie-in.